This is a very common problem. Described and solved by this MSKB article:
Search Companion Starts If You Double-Click a Folder
Search Companion Starts If You Double-Click a Folder
You should read the article for an explanation of the problem, but the corrective action to take is this:
Click the Start button, then type REGEDIT in the Run dialog box off the Start Menu and click OK. Now navigate in the left pane to these two keys and click on the shell subkey:
HKEY_CLASSES_ROOT\Directory\shell
HKEY_CLASSES_ROOT\Drive\shell
In each, double-click the (Default) value on the right hand pane and type the word:
none
Then close the Registry Editor.
You can also download a Visual Basic script to automatically make the Registry change from here:
Fix "Search" Opens Instead of Explorer